Striker Sharp scored 30 goals for his United last season, helping his boyhood club to the League One title.
But despite finding the net eight times in 20 Championship outings since then, Sharp has fallen out of favour in recent weeks.
That prompted the Sun newspaper to report on Sunday that the 31-year-old is attracting interest from Bradford, whose boss was on Sheffield United's books when Sharp was coming through at Bramall Lane.
But when asked about the speculation on Monday, McCall played down the Bantams' chances.
He replied: "Yeah, I think we've got a really good chance of getting Billy - if he'll come and play for nowt!
"Again, I don't like talking about other people's players. Billy Sharp is a top player, I'm sure he'll still have a major part to play in Chris [Wilder]'s Sheffield United, and I think the finances would put us out of it.
"I think anyone in our division would love a Billy Sharp. But as I said, I think Sheffield United value him dearly and he'll play a big part in helping them to get promotion I'm sure."
McCall did, however, admit that he is looking to sign a like-for-like alternative to Bradford top scorer Charlie Wyke, should the target man suffer an injury between now and the end of the season.
Wyke is also said to have interest from higher division clubs this month, although McCall has told Sky Sports it would take an offer of £5 million to prise the 25-year-old away from Valley Parade.